Preservation of stochastic order in R^2 under random rotations | Zendy

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Preservation of stochastic order in R^2 under random rotations

Author(s) -

Richard Pincus

Publication year - 2004

Publication title -

acta et commentationes universitatis tartuensis de mathematica

Language(s) - English

Resource type - Journals

eISSN - 2228-4699

pISSN - 1406-2283

DOI - 10.12697/acutm.2004.08.18

Subject(s) - wishart distribution , monotonic function , mathematics , stochastic ordering , order (exchange) , relation (database) , random matrix , combinatorics , pure mathematics , statistical physics , computer science , mathematical analysis , eigenvalues and eigenvectors , statistics , physics , finance , multivariate statistics , database , quantum mechanics , economics

For a specified order relation in R2, it is shown that a shift parameter family of distributions remains stochastically ordered, if it is transformed by random orthogonal rotations. The result has applications in monotonicity problems of the roots of Wishart matrices.

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